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Mikhail Chernov, Ph.D. - Publications

Affiliations: 
2000 Pennsylvania State University, State College, PA, United States 
Area:
Finance, Statistics
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26 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Chernov M, Creal DD, Hördahl P. Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds National Bureau of Economic Research. DOI: 10.3386/W27500  0.355
2020 Augustin P, Chernov M, Schmid L, Song D. A No-Arbitrage Perspective on Global Arbitrage Opportunities National Bureau of Economic Research. DOI: 10.3386/W27231  0.385
2020 Chernov M, Schmid L, Schneider A. A Macrofinance View of U.S. Sovereign CDS Premiums Journal of Finance. 75: 2809-2844. DOI: 10.1111/Jofi.12948  0.328
2020 Augustin P, Chernov M, Song D. Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads Journal of Financial Economics. 137: 129-151. DOI: 10.1016/J.Jfineco.2019.12.005  0.405
2019 Augustin P, Chernov M, Schmid L, Song D. Benchmark Interest Rates When the Government is Risky National Bureau of Economic Research. DOI: 10.3386/W26429  0.414
2018 Chernov M, Lochstoer LA, Lundeby SRH. Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off National Bureau of Economic Research. DOI: 10.3386/W25361  0.489
2018 Chernov M, Creal DD. International Yield Curves and Currency Puzzles National Bureau of Economic Research. DOI: 10.3386/W25206  0.447
2018 Chernov M, Creal DD. Multihorizon Currency Returns and Purchasing Power Parity National Bureau of Economic Research. DOI: 10.3386/W24563  0.369
2018 Chernov M, Graveline JJ, Zviadadze I. Crash Risk in Currency Returns Journal of Financial and Quantitative Analysis. 53: 137-170. DOI: 10.2139/Ssrn.2023440  0.43
2018 Chernov M, Dunn BR, Longstaff FA. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities Review of Financial Studies. 31: 1132-1183. DOI: 10.1093/Rfs/Hhx140  0.433
2018 Backus DK, Boyarchenko N, Chernov M. Term structures of asset prices and returns Journal of Financial Economics. 129: 1-23. DOI: 10.1016/J.Jfineco.2018.04.005  0.416
2014 Backus D, Chernov M, Zin S. Sources of Entropy in Representative Agent Models Journal of Finance. 69: 51-99. DOI: 10.1111/Jofi.12090  0.484
2013 Backus DK, Chernov M, Zin SE, Zviadadze I. Identifying monetary policy in macro-finance models National Bureau of Economic Research. DOI: 10.3386/W19360  0.408
2013 Bikbov R, Chernov M. Monetary policy regimes and the term structure of interest rates Journal of Econometrics. 174: 27-43. DOI: 10.1016/J.Jeconom.2013.01.002  0.36
2012 Chernov M, Mueller P. The term structure of inflation expectations Journal of Financial Economics. 106: 367-394. DOI: 10.1016/J.Jfineco.2012.06.004  0.452
2011 Backus D, Chernov M, Martin I. Disasters Implied by Equity Index Options Journal of Finance. 66: 1969-2012. DOI: 10.1111/J.1540-6261.2011.01697.X  0.462
2011 Bikbov R, Chernov M. Yield curve and volatility: Lessons from Eurodollar futures and options Journal of Financial Econometrics. 9: 66-105. DOI: 10.1093/Jjfinec/Nbq019  0.478
2010 Bikbov R, Chernov M. No-arbitrage macroeconomic determinants of the yield curve Journal of Econometrics. 159: 166-182. DOI: 10.1016/J.Jeconom.2010.05.004  0.364
2009 Broadie M, Chernov M, Johannes MS. Understanding Index Option Returns Review of Financial Studies. 22: 4493-4529. DOI: 10.2139/Ssrn.965739  0.502
2009 Bikbov R, Chernov M. Unspanned stochastic volatility in affine models: Evidence from Euro Dollar futures and options Management Science. 55: 1292-1305. DOI: 10.1287/Mnsc.1090.1020  0.483
2007 Broadie M, Chernov M, Johannes M. Model Specification and Risk Premia: Evidence from Futures Options Journal of Finance. 62: 1453-1490. DOI: 10.2139/Ssrn.504642  0.486
2007 Chernov M. On the role of risk premia in volatility forecasting Journal of Business and Economic Statistics. 25: 411-426. DOI: 10.1198/073500106000000350  0.454
2007 Carrasco M, Chernov M, Florens JP, Ghysels E. Efficient estimation of general dynamic models with a continuum of moment conditions Journal of Econometrics. 140: 529-573. DOI: 10.1016/J.Jeconom.2006.07.013  0.555
2003 Chernov M. Empirical reverse engineering of the pricing kernel Journal of Econometrics. 116: 329-364. DOI: 10.1016/S0304-4076(03)00111-8  0.512
2003 Chernov M, Gallant AR, Ghysels E, Tauchen G. Alternative models for stock price dynamics Journal of Econometrics. 116: 225-257. DOI: 10.1016/S0304-4076(03)00108-8  0.603
2000 Chernov M, Ghysels E. A study towards a unified approach to the joint estimation of objective and risk neutral measures for thepurpose of options valuation Journal of Financial Economics. 56: 407-458. DOI: 10.1016/S0304-405X(00)00046-5  0.623
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